Statistics of Price Movements of Jefferies Financial Group Inc (JEF)

The price movements of Jefferies Financial Group Inc (ticker JEF) are summarized in five ways:

• Table 1. Statistics of daily price changes using the closing prices
• Table 2. Statistics of daily price changes using the closing and opening prices
• Table 3 – 7. Statistics of daily price changes when JEF opened with an increase of 1%, 2%, 3%, 4%, or more than 5%
• Table 8 – 10. Statistics of stock price changes in the 20 days after JEF had a big price move
• Table 11. Statistics of daily price changes in the 20 days after JEF moved 5% with twice the 30-day average volume

The statistics are calculated using JEF's price data across 664 trading days from 2018 to 2020.

Table 1. Statistics of JEF one-day price changes

In this table, the one-day price change is calculated using the closing price and the previous day's closing price.

In the past 664 trading days, 48.3% of the time (320 days), JEF closed above the previous day's closing price. 47.1% of the time (312 days), it closed below the previous day's closing price. 4.7% of the time (31 days), it did not change.

Also see: VIX price movement study.

JEF Price Change (%)	Number of Days	% of Total Sessions
11 – 12%	2	0.30%
10 – 11%	1	0.15%
9 – 10%	1	0.15%
8 – 9%	1	0.15%
7 – 8%	5	0.75%
6 – 7%	3	0.45%
5 – 6%	8	1.21%
4 – 5%	11	1.66%
3 – 4%	14	2.11%
2 – 3%	46	6.94%
1 – 2%	89	13.42%
0 – 1%	139	20.97%
0%	31	4.68%
0 – -1%	145	21.87%
-1 – -2%	81	12.22%
-2 – -3%	38	5.73%
-3 – -4%	12	1.81%
-4 – -5%	18	2.71%
-5 – -6%	7	1.06%
-6 – -7%	4	0.60%
-8 – -9%	1	0.15%
-9 – -10%	3	0.45%
-11 – -12%	1	0.15%
-12 – -13%	1	0.15%
-13 – -14%	1	0.15%

Table 2. Statistics of JEF: Closing vs. Open

In this table, instead of using the closing price of the previous day, the opening price is used to calculate the one-day price change of JEF.

48.8% of the time (324 days), JEF closed above the opening price. 47.1% of the time (313 days), it closed below the opening price. 4.1% of the time (27 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
10 – 11%	1	0.15%
7 – 8%	1	0.15%
6 – 7%	1	0.15%
5 – 6%	7	1.05%
4 – 5%	2	0.30%
3 – 4%	10	1.51%
2 – 3%	50	7.53%
1 – 2%	83	12.50%
0 – 1%	169	25.45%
0%	27	4.07%
0 – -1%	162	24.40%
-1 – -2%	80	12.05%
-2 – -3%	37	5.57%
-3 – -4%	19	2.86%
-4 – -5%	7	1.05%
-5 – -6%	4	0.60%
-6 – -7%	3	0.45%
-9 – -10%	1	0.15%

Table 3. One-day performance when JEF opened 5% higher than previous close

In the past 664 trading days, JEF opened more than 5% higher than the previous day's closing price 9 times. Of these days, 44.4% (4 days) had closing prices above the opening price, and 55.6% (5 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	11.11%
2 – 3%	3	33.33%
-1 – -2%	1	11.11%
-2 – -3%	1	11.11%
-3 – -4%	1	11.11%
-5 – -6%	1	11.11%
-6 – -7%	1	11.11%

Table 4. Closing vs. open when JEF opened 4–5% higher

On 6 days, JEF opened 4–5% higher than the previous day's closing price. Of these days, 50.0% (3 days) had closing prices above the opening price, and 33.3% (2 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	16.67%
2 – 3%	2	33.33%
0%	1	16.67%
-1 – -2%	1	16.67%
-3 – -4%	1	16.67%

Table 5. Closing vs. open when JEF open 3 – 4% higher

5 times JEF opened 3 – 4% higher than the previous day's closing price. Among these days, 80.0% (4 days) closed above the opening price, 20.0% (1 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	1	20.00%
1 – 2%	3	60.00%
-2 – -3%	1	20.00%

Table 6. Closing vs. open when JEF open 2 – 3% higher

16 times JEF opened 2 – 3% higher than the previous day's closing price. Among these days, 50.0% (8 days) closed above the opening price, 50.0% (8 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	2	12.50%
1 – 2%	3	18.75%
0 – 1%	3	18.75%
0 – -1%	3	18.75%
-1 – -2%	4	25.00%
-2 – -3%	1	6.25%

Table 7. Closing vs. open when JEF open 1 – 2% higher

66 times JEF opened 1 – 2% higher than the previous day's closing price. Among these days, 57.6% (38 days) closed above the opening price, 40.9% (27 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	1.52%
3 – 4%	3	4.55%
2 – 3%	8	12.12%
1 – 2%	10	15.15%
0 – 1%	16	24.24%
0%	1	1.52%
0 – -1%	17	25.76%
-1 – -2%	3	4.55%
-2 – -3%	5	7.58%
-3 – -4%	1	1.52%
-6 – -7%	1	1.52%

Table 8. Periods when JEF moved 15% or more

In this table, we track the price movements in the 20 days after JEF had a one-day price change of at least 15%.

Date	Price Change	Price Change after 15% Move
Days after:		1	4	7	10	13	16	19

Table 9. Periods when JEF moved 10% or more

In this table, we track the price movements in the 20 days after JEF had a one-day price change of at least 10%.

Date	Price Change	Price Change after 10% Move
Days after:		1	4	7	10	13	16	19
20200313	11.6%	-8.5	-17.6	-19.3	-13.7	-25.5	-21.1	-14.7
20200326	11.1%	-5.7	-18.6	-13.8	-6.8	-10.2	-13.2	-19.9
20200526	10.4%	7.2	2.0	8.3	12.0	4.3	5.1	4.8
20200309	-11.7%	7.7	-1.9	-18.2	-27.7	-10.3	-19.4	-28.5
20200318	-12.6%	-1.3	-3.2	3.4	-10.7	-5.5	2.2	-1.5
20200312	-13.3%	11.6	-6.9	-17.7	2.1	-8.2	-18.6	-4.8

Table 9a. JEF average price changes following a 10% up day

Of the 664 trading days from 2018 to 2020, there were 3 days in which JEF was up more than 10%. This table shows the average price changes over the 3 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 10%	-2.3	-11.4	-8.3	-2.9	-10.5	-9.8	-10.0

Table 9b. JEF average price changes following a 10% down day

Of the 664 trading days from 2018 to 2020, there were 3 days in which JEF was down more than -10%. This table shows the average price changes over the 3 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -10%	6.0	-4.0	-10.8	-12.1	-8.0	-11.9	-11.6

Table 10. Periods when JEF moved 5% or more

In this table, we track the price movements in the 20 days after JEF had a one-day price change of at least 5%.

Date	Price Change	Price Change after 5% Move
Days after:		1	4	7	10	13	16	19
20200313	11.6%	-8.5	-17.6	-19.3	-13.7	-25.5	-21.1	-14.7
20200326	11.1%	-5.7	-18.6	-13.8	-6.8	-10.2	-13.2	-19.9
20200526	10.4%	7.2	2.0	8.3	12.0	4.3	5.1	4.8
20200324	9.5%	1.9	4.3	-6.4	-2.2	5.6	-4.1	-6.1
20200406	8.1%	.2	8.1	-1.8	-3.9	-7.8	3.8	-.1
20200408	7.9%	-.1	-3.7	-6.9	-14.1	-9.6	-3.2	-5.6
20200310	7.6%	-5.8	-16.7	-25.0	-26.5	-21.4	-32.2	-28.2
20200518	7.6%	-2.8	-1.5	16.7	10.9	17.8	21.8	13.5
20180727	7.3%	-.4	-4.4	-1.5	-4.4	-5.3	-5.2	-6.3
20200527	7.2%	-4.9	-6.1	2.5	-.3	-2.7	-1.9	-.4
20200924	6.7%	.3	-1.3	3.2	8.6	11.4	12.0	10.2
20190703	6.4%	.0	3.4	3.1	1.1	-.0	3.5	3.8
20200428	6.1%	5.2	-2.9	-1.5	-2.7	-8.2	-2.2	-2.6
20181226	5.8%	.5	.1	4.7	6.7	11.2	14.7	15.4
20200710	5.8%	1.6	7.8	7.1	5.1	4.8	2.1	2.6
20200603	5.4%	2.0	5.5	-1.7	-1.0	-1.3	-1.9	.1
20200427	5.3%	6.2	2.2	-.5	7.8	.0	2.0	3.4
20200429	5.2%	-4.2	-6.6	-1.5	-13.4	-6.1	-8.0	2.2
20200508	5.2%	-2.0	-9.1	-7.3	-6.0	11.3	5.8	12.3
20201109	5.1%	4.9	5.5	6.0	6.1	7.7	5.8	7.8
20200507	5%	5.2	-7.5	.4	-1.7	9.2	9.3	15.9
20200227	-5%	-1.1	3.7	-15.0	-25.3	-20.3	-38.1	-31.4
20200908	-5.2%	1.7	3.3	5.7	2.8	8.1	6.4	11.2
20190513	-5.6%	.2	-1.9	-1.6	-2.3	-3.9	-2.0	-4.7
20200327	-5.7%	-2.4	-12.4	-8.4	-1.2	-10.3	-12.1	-15.7
20200415	-5.7%	-2.0	-5.9	-5.4	11.3	2.6	4.1	2.9
20191007	-5.8%	-1.9	4.3	4.7	8.3	9.1	11.4	10.3
20200311	-5.8%	-13.4	-7.6	-28.2	-20.4	-18.6	-26.9	-23.6
20200611	-6.2%	4.0	4.8	4.5	3.8	6.0	8.0	3.1
20200513	-6.3%	3.4	5.4	6.9	26.5	20.3	27.7	32.1
20181011	-6.5%	-.5	4.5	.4	-3.4	1.3	2.3	6.1
20181204	-6.9%	.0	-7.3	-8.4	-12.6	-16.5	-13.7	-13.7
20200316	-8.4%	4.4	-18.9	-10.1	-8.0	-17.4	-13.7	-6.8
20190927	-9%	3.6	1.2	-4.3	1.7	2.1	5.6	6.4
20200401	-9.4%	1.5	6.1	14.5	4.0	1.8	-2.3	9.9
20200320	-9.8%	-.7	23.3	10.8	-1.8	14.9	9.8	2.2
20200309	-11.7%	7.7	-1.9	-18.2	-27.7	-10.3	-19.4	-28.5
20200318	-12.6%	-1.3	-3.2	3.4	-10.7	-5.5	2.2	-1.5
20200312	-13.3%	11.6	-6.9	-17.7	2.1	-8.2	-18.6	-4.8

Table 10a. JEF average price changes following a 5% up day

Of the 664 trading days from 2018 to 2020, there were 21 days in which JEF was up more than 5%. This table shows the average price changes over the 21 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	.0	-2.7	-1.7	-1.8	-.7	-.3	.4

Table 10b. JEF average price changes following a 5% down day

Of the 664 trading days from 2018 to 2020, there were 18 days in which JEF was down more than -5%. This table shows the average price changes over the 18 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	.8	-.5	-3.7	-2.9	-2.5	-3.9	-2.6

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Also see: VIX price movement study.